Microscopic Simulation of Financial Markets
From Investor Behavior to Market PhenomenaBy
- Haim Levy
- Moshe Levy
- Sorin Solomon
University and commercial finance researchers, and graduate students.
Hardbound, 300 Pages
Published: June 2000
Imprint: Academic Press
"Levy, Levy, and Solomon's Microscopic Simulation of Financial Markets points us towards the future of financial economics. If we restrict ourselves to models which can be solved analytically, we will be modeling for our mutual entertainment, not to maximize explanatory or predictive power."
--HARRY M. MARKOWITZ, President, Harry Markowitz Co., and Nobel Laureate in Economics
"Many theoretical physicists now try to apply their research techniques to problems in finance; this is a book to help them in such computer simulations. In contrast to earlier "econophysics" books, Levy et al. Emphasize the modeling of individual traders, and they give credit to economists who used such methods already before."
--DIETRICH STAUFFER, Physics Department, Cologne University, Cologne, Germany
"This book contains the first fully comprehensive treatment of Microscopic Simulation in finance. The authors make a compelling case that this technique, originally used in physics to solve otherwise intractable problems, is destined to become a standard tool in finance. It is particularly well-suited for highly complex financial problems in behavioral finance where standard methods are inadequate."
--RICHARD ROLL, Allstate Professor of Insurance and Finance at the Anderson School of Business, UCLA